A Hausman-type test to detect the presence of influential outliers in regression analysis |
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| Authors: | Catherine Dehon Marjorie Gassner Vincenzo Verardi |
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| Affiliation: | aECARES and CKE, Universit´e Libre de Bruxelles, B-1050 Brussels, Belgium;bCRED, University of Namur, B-5000 Namur, Belgium |
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| Abstract: | ![]()
In regression analysis, classical estimations may be excessively influenced by a few atypical observations. We propose a Hausman-type test to balance robustness and efficiency and to check whether a robust method should be implemented. An economic application is presented. |
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| Keywords: | Hausman test Outlier detection Robustness S-estimator |
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